Related papers: Optimal Scaling of Mala for Nonlinear Regression

In this work, we propose a method for determining a non-uniform sampling scheme for multi-dimensional signals by solving a convex optimization problem reminiscent of the sensor selection problem. The resulting sampling scheme minimizes the…

Linear regression with normally distributed errors - including particular cases such as ANOVA, Student's t-test or location-scale inference - is a widely used statistical procedure. In this case the ordinary least squares estimator…

Recent years witnessed the development of powerful generative models based on flows, diffusion or autoregressive neural networks, achieving remarkable success in generating data from examples with applications in a broad range of areas. A…

We examine the optimal scaling and the efficiency of the pseudo-marginal random walk Metropolis algorithm using a recently-derived result on the limiting efficiency as the dimension, $d\rightarrow \infty$. We prove that the optimal scaling…

Portfolio optimization approaches inevitably rely on multivariate modeling of markets and the economy. In this paper, we address three sources of error related to the modeling of these complex systems: 1. oversimplifying hypothesis; 2.…

The problem of fitting experimental data to a given model function $f(t; p_1,p_2,\dots,p_N)$ is conventionally solved numerically by methods such as that of Levenberg-Marquardt, which are based on approximating the Chi-squared measure of…

This paper presents a numerical method to implement the parameter estimation method using response statistics that was recently formulated by the authors. The proposed approach formulates the parameter estimation problem of It\^o drift…

In system identification, estimating parameters of a model using limited observations results in poor identifiability. To cope with this issue, we propose a new method to simultaneously select and estimate sensitive parameters as key model…

Solutions of the bivariate, linear errors-in-variables estimation problem with unspecified errors are expected to be invariant under interchange and scaling of the coordinates. The appealing model of normally distributed true values and…

Stochastic-gradient sampling methods are often used to perform Bayesian inference on neural networks. It has been observed that the methods in which notions of differential geometry are included tend to have better performances, with the…

This work considers the problem of sampling from a probability distribution known up to a normalization constant while satisfying a set of statistical constraints specified by the expected values of general nonlinear functions. This problem…

We propose novel scale-invariant error estimators for the Monte Carlo and multilevel Monte Carlo estimation of mean and variance. For any linear transformation of the distribution of the quantity of interest, the computation cost across…

We propose a reflection-free Langevin framework for sampling and optimization on compact polyhedra. The method is based on the inverse Hessian of the logarithmic barrier, which defines a Dikin--Langevin diffusion whose drift and noise adapt…

For the task of sampling from a density $\pi \propto \exp(-V)$ on $\mathbb{R}^d$, where $V$ is possibly non-convex but $L$-gradient Lipschitz, we prove that averaged Langevin Monte Carlo outputs a sample with $\varepsilon$-relative Fisher…

In this work, we propose a first-order sampling method called the Metropolis-adjusted Preconditioned Langevin Algorithm for approximate sampling from a target distribution whose support is a proper convex subset of $\mathbb{R}^{d}$. Our…

Gradients have been exploited in proposal distributions to accelerate the convergence of Markov chain Monte Carlo algorithms on discrete distributions. However, these methods require a natural differentiable extension of the target discrete…

We present algorithms for nonparametric regression in settings where the data are obtained sequentially. While traditional estimators select bandwidths that depend upon the sample size, for sequential data the effective sample size is…

In this paper, we consider an optimal reinsurance problem to minimize the probability of drawdown for the scaled Cram\'er-Lundberg risk model when the reinsurance premium is computed according to the mean-variance premium principle. We…

Optimum designs for parameter estimation in generalized regression models are standardly based on the Fisher information matrix (cf. Atkinson et al (2014) for a recent exposition). The corresponding optimality criteria are related to the…

The posterior probability distribution for a set of model parameters encodes all that the data have to tell us in the context of a given model; it is the fundamental quantity for Bayesian parameter estimation. In order to infer the…